You can set the http_proxy environment variable to tell the agent to use a proxy server for all requests. You can set this on a system level which will affect all Python scripts, including the Server Density agent.

On Linux, just edit the /etc/environment file and include this line in it: 

http_proxy="http://username:password@someproxy.com:3128"

You will need to log out and log back in again to see the effects of changes to this file, which you can check by executing printenv. See this guide for more details about Linux environment variables.